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Networks in risk spillovers: A multivariate GARCH perspective 风险溢出中的网络：多元GARCH视角
IF 1.9
Econometrics and Statistics Pub Date : 2023-10-01 DOI: 10.1016/j.ecosta.2020.12.003
Monica Billio , Massimiliano Caporin , Lorenzo Frattarolo , Loriana Pelizzon
{"title":"Networks in risk spillovers: A multivariate GARCH perspective","authors":"Monica Billio ,&nbsp;Massimiliano Caporin ,&nbsp;Lorenzo Frattarolo ,&nbsp;Loriana Pelizzon","doi":"10.1016/j.ecosta.2020.12.003","DOIUrl":"https://doi.org/10.1016/j.ecosta.2020.12.003","url":null,"abstract":"<div><p><span><span>A spatiotemporal approach is proposed for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and a new bilateral Multivariate </span>GARCH specification is introduced. The covariance </span>stationarity<span><span> and identification of the model is studied, developing the quasi-maximum-likelihood estimator and analysing its consistency and asymptotic normality. Further, it is shown how to isolate risk channels and it is discussed how to compute target exposure in order to reduce the system variance. An empirical analysis on Euro-area sovereign </span>credit default swap data indicates that Italy and Ireland are key players in spreading risk, France and Portugal are major risk receivers, and Spain’s non-trivial role as a risk middleman is uncovered.</span></p></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"28 ","pages":"Pages 1-29"},"PeriodicalIF":1.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.ecosta.2020.12.003","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50198790","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bayesian Analysis of ARCH-M model with a dynamic latent variable 具有动态潜变量的ARCH-M模型的贝叶斯分析
IF 1.9
Econometrics and Statistics Pub Date : 2023-10-01 DOI: 10.1016/j.ecosta.2021.10.001
Zefang Song , Xinyuan Song , Yuan Li
{"title":"Bayesian Analysis of ARCH-M model with a dynamic latent variable","authors":"Zefang Song ,&nbsp;Xinyuan Song ,&nbsp;Yuan Li","doi":"10.1016/j.ecosta.2021.10.001","DOIUrl":"https://doi.org/10.1016/j.ecosta.2021.10.001","url":null,"abstract":"<div><p>A time-varying coefficient ARCH-in-mean (ARCH-M) model with a dynamic latent variable that follows an AR process<span> is considered. The joint model extends the existing ARCH-M model by considering a dynamic structure of latent variable for examining a latent effect on the time-varying risk–return relationship. A Bayesian<span> approach coped with Markov Chain Monte Carlo algorithm is developed to perform the joint estimation of model parameters and the latent variable. Simulation results show that the proposed inference procedure performs satisfactorily. An application of the proposed method to a financial study of the Chinese stock market is presented.</span></span></p></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"28 ","pages":"Pages 47-62"},"PeriodicalIF":1.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50198791","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Multi-objective optimisation of split-plot designs 分割地块设计的多目标优化
IF 1.9
Econometrics and Statistics Pub Date : 2023-10-01 DOI: 10.1016/j.ecosta.2022.04.001
Matteo Borrotti , Francesco Sambo , Kalliopi Mylona
{"title":"Multi-objective optimisation of split-plot designs","authors":"Matteo Borrotti ,&nbsp;Francesco Sambo ,&nbsp;Kalliopi Mylona","doi":"10.1016/j.ecosta.2022.04.001","DOIUrl":"https://doi.org/10.1016/j.ecosta.2022.04.001","url":null,"abstract":"<div><p>Modern experiments allow scientists to tackle scientific problems of increasing complexity. Often experiments are characterised by factors that have levels which are harder to set than others. A possible solution is the use of a split-plot design. Many solutions are available in the literature to find optimal designs that focus solely on optimising a single criterion. Multi-criteria approaches have been developed to overcome the limitations of the one-objective optimisation, however they mainly focus on estimating the precision of the fixed factor effects, ignoring the variance component estimation. The Multi-Stratum Two-Phase Local Search (MS-TPLS) algorithm for multi-objective optimisation of designs of experiments is extended, in order to ensure pure-error estimation of the variance components. The proposed solution is applied to two motivating problems and the final optimal Pareto front and related designs are compared with other designs from the relevant literature. Experimental results show that the designs from the obtained Pareto front represent good candidate solutions based on the different objectives.</p></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"28 ","pages":"Pages 163-172"},"PeriodicalIF":1.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50198656","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Factor-augmented Bayesian treatment effects models for panel outcomes 面板结果的因子增强贝叶斯治疗效果模型
IF 1.9
Econometrics and Statistics Pub Date : 2023-10-01 DOI: 10.1016/j.ecosta.2022.04.003
Helga Wagner , Sylvia Frühwirth-Schnatter , Liana Jacobi
{"title":"Factor-augmented Bayesian treatment effects models for panel outcomes","authors":"Helga Wagner ,&nbsp;Sylvia Frühwirth-Schnatter ,&nbsp;Liana Jacobi","doi":"10.1016/j.ecosta.2022.04.003","DOIUrl":"https://doi.org/10.1016/j.ecosta.2022.04.003","url":null,"abstract":"<div><p>A new, flexible model for inference of the effect of a binary treatment on a continuous outcome observed over subsequent time periods is proposed. The model allows to separate the associations due to endogeneity under treatment selection and additional longitudinal association of the outcomes, thus yielding unbiased estimates of dynamic treatment effects if both sources of association are present. The performance of the proposed method is investigated on simulated data and employed to re-analyze data on the longitudinal effects of a long maternity leave on mothers’ earnings after their return to the labour market.</p></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"28 ","pages":"Pages 63-80"},"PeriodicalIF":1.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50198792","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimating the number of common trends in large T and N factor models via canonical correlations analysis 通过典型相关分析估计大T和N因子模型中共同趋势的数量
Econometrics and Statistics Pub Date : 2023-10-01 DOI: 10.1016/j.ecosta.2023.10.001
Massimo Franchi, Iliyan Georgiev, Paolo Paruolo
{"title":"Estimating the number of common trends in large T and N factor models via canonical correlations analysis","authors":"Massimo Franchi, Iliyan Georgiev, Paolo Paruolo","doi":"10.1016/j.ecosta.2023.10.001","DOIUrl":"https://doi.org/10.1016/j.ecosta.2023.10.001","url":null,"abstract":"Asymptotic results for canonical correlations are derived when the analysis is performed between levels and cumulated levels of N time series of length T, generated by a factor model with s common stochastic trends. For T→∞ and fixed N and s, the largest s squared canonical correlations are shown to converge to a non-degenerate limit distribution while the remaining N−s converge in probability to 0. Furthermore, if s grows at most linearly in N, the largest s squared canonical correlations are shown to converge in probability to 1 as (T,N)seq→∞. This feature allows one to estimate the number of common trends as the integer with largest decrease in adjacent squared canonical correlations. The maximal gap equals 1 in the limit and this criterion is shown to be consistent. A Monte Carlo simulation study illustrates the findings.","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135762528","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On the consistency of K-sign depth tests 关于k符号深度检验的一致性
Econometrics and Statistics Pub Date : 2023-10-01 DOI: 10.1016/j.ecosta.2023.10.002
Kevin Leckey, Mirko Jakubzik, Christine H. Müller
{"title":"On the consistency of K-sign depth tests","authors":"Kevin Leckey, Mirko Jakubzik, Christine H. Müller","doi":"10.1016/j.ecosta.2023.10.002","DOIUrl":"https://doi.org/10.1016/j.ecosta.2023.10.002","url":null,"abstract":"The consistency of the so-called K-sign depth tests is considered. These tests are based on the K-sign depth, which originated from the simplicial regression depth, but is easier to compute. The K-sign depth tests use only the signs of residuals and are equivalent to the classical sign test for K=2. However, K-sign depth tests with K≥3 show a much better power than the classical sign tests in simulation studies. This property is attributed to the consistency of these tests for K=3. After deriving a general condition for consistency, it is shown that this condition is in particular satisfied for several relevant hypotheses in polynomial regression models.","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"275 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135762405","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Implicit Copulas: An Overview 隐式Copulas：综述
IF 1.9
Econometrics and Statistics Pub Date : 2023-10-01 DOI: 10.1016/j.ecosta.2021.12.002
Michael Stanley Smith
{"title":"Implicit Copulas: An Overview","authors":"Michael Stanley Smith","doi":"10.1016/j.ecosta.2021.12.002","DOIUrl":"https://doi.org/10.1016/j.ecosta.2021.12.002","url":null,"abstract":"<div><p><span>Implicit copulas<span> are the most common copula choice for modeling dependence in high dimensions. This broad class of copulas is introduced and surveyed, including elliptical copulas, skew </span></span><span><math><mi>t</mi></math></span><span> copulas, factor copulas, time series copulas and regression copulas. The common auxiliary representation of implicit copulas is outlined, and how this makes them both scalable and tractable for statistical modeling<span>. Issues such as parameter identification, extended likelihoods for discrete or mixed data, parsimony in high dimensions, and simulation from the copula model are considered. Bayesian<span> approaches to estimate the copula parameters, and predict from an implicit copula model, are outlined. Particular attention is given to implicit copula processes constructed from time series and regression models, which is at the forefront of current research. Two econometric<span> applications—one from macroeconomic time series and the other from financial asset pricing—illustrate the advantages of implicit copula models.</span></span></span></span></p></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"28 ","pages":"Pages 81-104"},"PeriodicalIF":1.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50198793","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Numerical Methods for Finding A-optimal Designs Analytically 分析求解A最优设计的数值方法
IF 1.9
Econometrics and Statistics Pub Date : 2023-10-01 DOI: 10.1016/j.ecosta.2022.09.005
Ping-Yang Chen , Ray-Bing Chen , Yu-Shi Chen , Weng Kee Wong
{"title":"Numerical Methods for Finding A-optimal Designs Analytically","authors":"Ping-Yang Chen ,&nbsp;Ray-Bing Chen ,&nbsp;Yu-Shi Chen ,&nbsp;Weng Kee Wong","doi":"10.1016/j.ecosta.2022.09.005","DOIUrl":"https://doi.org/10.1016/j.ecosta.2022.09.005","url":null,"abstract":"<div><p><span>The traditional way in statistics<span> to find optimal designs for regression models is an analytical approach. Technical conditions that may be restrictive in practice are sometimes imposed to obtain the analytical results. Even then, the mathematical technique is invariably not amendable to find an optimal design under a different criterion or for the same criterion with a slightly changed model, suggesting that developing flexible and effective algorithms to search for the optimum is very useful. In particular, numerical results from an algorithm can be helpful to find analytical descriptions of optimal designs. As an example, particle swarm optimization has been shown to be quite effective for finding optimal designs for hard design problems and this paper demonstrates how its output can be used to find new analytic </span></span><span><math><mi>A</mi></math></span><span>-optimal approximate designs for the Gamma and inverse Gaussian models, each with the inverse link function. The methodology is quite general and may be applied to find analytical </span><span><math><mi>A</mi></math></span><span>-optimal designs for other models, like the Poisson model with the log link function, or other types of optimal designs.</span></p></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"28 ","pages":"Pages 155-162"},"PeriodicalIF":1.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50198657","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bayesian estimation of realized GARCH-type models with application to financial tail risk management 已实现GARCH型模型的贝叶斯估计及其在金融尾部风险管理中的应用
IF 1.9
Econometrics and Statistics Pub Date : 2023-10-01 DOI: 10.1016/j.ecosta.2021.03.006
Cathy W.S. Chen , Toshiaki Watanabe , Edward M.H. Lin
{"title":"Bayesian estimation of realized GARCH-type models with application to financial tail risk management","authors":"Cathy W.S. Chen ,&nbsp;Toshiaki Watanabe ,&nbsp;Edward M.H. Lin","doi":"10.1016/j.ecosta.2021.03.006","DOIUrl":"https://doi.org/10.1016/j.ecosta.2021.03.006","url":null,"abstract":"<div><p><span>Advances in the various realized GARCH models have proven effective in taking account of the bias in realized volatility (RV) introduced by microstructure noise and non-trading hours. They have been extended into nonlinear or long-memory patterns, including the realized exponential GARCH (EGARCH), realized heterogeneous autoregressive GARCH (HAR-GARCH), and realized threshold GARCH (TGARCH) models. These models with skew Student’s t-distribution are applied to </span>quantile<span> forecasts such as Value-at-Risk and expected shortfall of financial returns as well as volatility forecasting. Parameter estimation and quantile forecasting are built on Bayesian<span><span> Markov chain Monte Carlo sampling methods. Backtesting measures are presented for both Value-at-Risk and expected shortfall forecasts and employ two loss functions to assess volatility forecasts. Results taken from the S&amp;P500 in the U.S. market with approximately 5-year out-of-sample periods covering the COVID-19 pandemic period are reported as follows: (1) The realized HAR-GARCH model performs best in respect of violation rates and expected shortfall at the 1% and 5% </span>significance levels. (2) The realized EGARCH model performs best with regard to volatility forecasts.</span></span></p></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"28 ","pages":"Pages 30-46"},"PeriodicalIF":1.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.ecosta.2021.03.006","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50198789","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
A review of effective age models and associated non- and semiparametric methods 有效年龄模型及其相关的非参数和半参数方法综述
IF 1.9
Econometrics and Statistics Pub Date : 2023-10-01 DOI: 10.1016/j.ecosta.2021.12.005
Eric Beutner
{"title":"A review of effective age models and associated non- and semiparametric methods","authors":"Eric Beutner","doi":"10.1016/j.ecosta.2021.12.005","DOIUrl":"https://doi.org/10.1016/j.ecosta.2021.12.005","url":null,"abstract":"<div><p>First an overview of a class of models for recurrent events is given. The class of models considered is known as virtual or effective age models. One of the strengths of this class of models is their ability to account for intervention effects after an event occurrence. Some of the models within this class allow to account for the effects of covariates and the impact of the number of already observed events. After having provided an overview of this class of models, non- and semiparametric inference methods for these models are reviewed. Several open problems in non- and semiparametric inference methods for these models are also described.</p></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"28 ","pages":"Pages 105-119"},"PeriodicalIF":1.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50198794","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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